Filed pursuant to Rule 433. Registration Statement Nos. 333-184147 and 333-184147-01
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[GRAPHIC OMITTED]
The RBS ETN Series Notebook
Trendpilot[] Indices
[] Trend-following Strategies Rebalance Strategy RICI Enhanced(SM)
Commodity Indices [] Designed in cooperation with Jim Rogers
and RBS
FOR USE WITH INSTITUTIONS ONLY, NOT FOR USE WITH RETAIL INVESTORS.
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IMPORTANT INFORMATION: The Royal Bank of Scotland plc ("RBS plc") and The Royal
Bank of Scotland Group plc ("RBS Group") (collectively, the "RBS Entities") have
filed a registration statement (including a prospectus) with the Securities and
Exchange Commission (SEC) for the offering of RBS ETNs to which this
communication may relate. Before you invest in any RBS ETNs, you should read the
relevant prospectus in such registration statement and other documents that have
been filed with the SEC for more complete information about the relevant RBS
Entities and offerings. You may get these documents for free by visiting EDGAR
on the SEC website at www.sec.gov. Alternatively, RBS plc, RBS Securities Inc.
or any dealer participating in the relevant offering will arrange to send you
the relevant prospectus and pricing supplements if you request by calling
1-855-RBS-ETPS (toll-free).
The RBS ETNs are not suitable for all investors. You should carefully read the
relevant pricing supplement and prospectus, including the more detailed
explanation of the risks involved in any investment in the RBS ETNs as described
in the 'Risk Factors' section of the pricing supplement, before investing.
**The pricing supplements, including a description of the applicable index
methodology, can be found here: www.rbs.com/etnus and we can provide them to you
upon request. The RBS ETNs are relatively new products and any performance prior
to the live date of the index which the RBS ETN tracks is hypothetical and does
not reflect actual returns. No actual investment which allowed tracking of the
performance of any RBS index was possible before its live date. The
retrospectively calculated index performance contained herein is based on
criteria applied retroactively with the benefit of hindsight and knowledge of
factors that may have positively affected its performance, and cannot account
for all financial risk that may affect the actual performance of the RBS ETNs.
The actual performance of the RBS ETNs may vary significantly from the
retroactively calculated index performance data contained herein. Neither the
retrospectively calculated nor the historical index performance should be taken
as any indication of future performance of any index or any related RBS ETNs. An
investment in the RBS ETNs involves significant risks. The applicable pricing
supplement and prospectus for the RBS ETNs will describe material risks related
to an investment in RBS ETNs. These risks include the following:
RISK CONSIDERATIONS
Credit risk of the issuer and guarantor
RBS ETNs are unsecured and unsubordinated obligations of RBS plc and are fully
and unconditionally guaranteed by RBS Group(1). If RBS plc fails to make any
required payments on the RBS ETNs, your receipt of such payment will depend on
the ability of RBS Group to pay its obligations as they become due. In addition,
unlike ordinary debt securities, the RBS ETNs are not principal protected and do
not pay interest. The RBS ETNs are not bank deposits and are not insured or
guaranteed by the Federal Deposit Insurance Corporation, the Deposit Insurance
Fund or any other government agency.
Market risk
The return on an RBS ETN will depend on the performance of the underlying market
measure(s) to which the RBS ETNs is linked. You may lose all or a significant
amount of your investment in the RBS ETNs if the level(s) of the underlying
market measure(s) were to decrease substantially.
Investor fees
The daily redemption value is the amount payable at maturity or upon early
repurchase or redemption of your RBS ETNs and is reduced by the aggregate
investor fee applicable to your RBS ETNs. As a result, the level of the
underlying market measure(s) to which your RBS ETNs are linked must increase by
an amount sufficient to offset the aggregate investor fee in order for you to
receive at least the face amount of your investment at maturity or upon early
repurchase or redemption. If the level(s) of the underlying market measure(s)
were to decrease or not increase sufficiently, you would receive less, and
possibly significantly less, than your initial investment at maturity or upon
early repurchase or redemption.
Liquidity risk
Even though RBS ETNs are expected to be listed on a US securities exchange,
there is no guarantee that the listing will be maintained or that a secondary
market will develop. The liquidity of the RBS ETNs may therefore be limited
and/or vary over time. RBS plc is not required to maintain any listing of RBS
ETNs on any securities exchange.
Restrictions on your ability to offer RBS ETNs for repurchase by RBS plc.
Through your broker, you may offer RBS ETNs for repurchase by RBS plc subject to
certain restrictions and procedures described in the applicable pricing
supplement.
Call risk
RBS plc also has the right to redeem your RBS ETNs, in its sole discretion. If
RBS plc elects to redeem your RBS ETNs, you may not be able to reinvest your
proceeds in a comparable investment. Pursuant to our announced plan to exit the
structured retail investor products business, the likelihood that we will redeem
the ETNs prior to maturity has increased. See "Recent Developments" for more
information.
RECENT DEVELOPMENTS
On June 13, 2013, we announced that we would be exiting the structured retail
investor products business that is responsible for issuing and maintaining the
RBS ETNs, and that we expect to move such business into a runoff organization
which will go through a process of restructuring and / or business sales (the
"RBS Retail Investor Products Exit Plan"). The implementation of the RBS Retail
Investor Products Exit Plan increases the likelihood that the RBS ETNs will be
redeemed by us prior to maturity. We plan to continue to maintain and issue the
RBS ETNs, but our plans could change. We cannot give you any assurances as to
any minimum period of time that you may hold the RBS ETNs before we redeem them
at our option.
DEFINITIONS OF CERTAIN DEFINED TERMS USED HEREIN
Annualized Average represents the calculated hypothetical rate of return that,
if cumulatively applied to each relevant annual period during the time period
indicated, would result in the actual cumulative rate of return for the entire
period.
Maximum Drawdown represents the maximum percentage loss that the relevant index
incurred from its peak level to its lowest level during the time period
indicated. Maximum Performance represents the highest one-year returns, as
measured from 9/30 to 9/30 of each year during the period indicated. Minimum
Performance represents the lowest one-year returns, as measured from 9/30 to
9/30 of each year during the period indicated.
5-Year Volatility: Based on monthly returns over the last five years unless
stated otherwise (from most recent date indicated on slide) and expressed as
standard deviation percentage. Standard deviation is a measure of volatility,
and illustrates the extent of variation (whether higher or lower) that exists
from the average given set of results. A low standard deviation indicates that
the results tend to be very close to the average result (a low degree of
volatility). In contrast, a high standard deviation indicates that the results
are spread out over a large range of outcomes (a high degree of volatility).
Because the standard deviation is based on historical data, it may not predict
variability in annualized performance of the RBS ETNs in the future.
(1)Certain RBS ETNs were originally issued by The Royal Bank of Scotland N.V.
("RBS N.V."); however, as of December 10, 2012, RBS plc assumed the obligations
of RBS N.V. under those RBS ETNs and became the issuer of them. 1
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The RBS ETN Lineup:
ETN
ETN INcEpTION
Trend-following Strategies TIcKER DATE
------------------------------------ ------ ---------
RBS Trendpilot[] ETNs
------------------------------------ ------ ---------
RBS US Large Cap Trendpilot[] ETN TRND 12/6/10 SandP 5
------------------------------------ ------ ---------
RBS US Mid Cap Trendpilot[] ETN TRNM 1/25/11
------------------------------------ ------ ---------
RBS NASDAQ-100([R]) Trendpilot[] ETN TNDQ 12/8/11
------------------------------------ ------ ---------
RBS China Trendpilot[] ETN TCHI 4/13/12
------------------------------------ ------ ---------
RBS Gold Trendpilot[] ETN TBAR 2/17/11
------------------------------------ ------ ---------
RBS Oil Trendpilot[] ETN TWTI 9/13/11
bENcHmARK INDEX
--------------------------------------------------
--------------------------------------------------
00([R]) Total Return Index
--------------------------------------------------
SandP MidCap 400([R]) Total Return Index
--------------------------------------------------
NASDAQ-100([R]) Total Return Index(SM)
--------------------------------------------------
BNY Mellon China Select ADR Total Return Index(SM)
--------------------------------------------------
Price of Gold Bullion
--------------------------------------------------
RBS 12-Month Oil Total Return Index
ANNUAL INTRADAY mOVING AVG
INVESTOR INDIcATIVE (MA)/DAYS TO
cASH RATE FEE(2) VALUE TIcKER CUSIP CONFIRm TREND
================= =========== ============ ========= =============
3-Month U.S. 1.00% Index 200 Day MA
Treasury Bills(1) 0.50% Cash TRND.IV 78009L308 5-Day Confirm
----------------- ----------- ------------ --------- -------------
3-Month U.S. 1.00% Index 200 Day MA
Treasury Bills(1) 0.50% Cash TRNM.IV 78009L209 5-Day Confirm
----------------- ----------- ------------ --------- -------------
3-Month U.S. 1.00% Index 100 Day MA
Treasury Bills(1) 0.50% Cash TNDQ.IV 78009P143 5-Day Confirm
----------------- ----------- ------------ --------- -------------
3-Month U.S. 1.10% Index 100 Day MA
Treasury Bills(1) 0.50% Cash TCHI.IV 78009P150 3-Day Confirm
----------------- ----------- ------------ --------- -------------
3-Month U.S. 1.00% Index 200 Day MA
Treasury Bills(1) 0.50% Cash TBAR.IV 78009L407 5-Day Confirm
----------------- ----------- ------------ --------- -------------
3-Month U.S. 1.10% Index 100 Day MA
Treasury Bills(1) 0.50% Cash TWTI.IV 78009P127 5-Day Confirm
ETN
ETN INcEpTION
Rebalance Strategy TIcKER DATE UNDERLYING INDIcES
--------------------------------- ------ --------- ----------------------------------------------
SandP 500([R]) Total Return Index
RBS US Large Cap Alternator ETN[] ALTL 8/30/12 SandP 500([R]) Equal Weight Total Return Index
SandP 500([R]) Low Volatility Total Return Index
--------------------------------- ------ --------- ----------------------------------------------
ANNUAL INTRADAY
INVESTOR INDIcATIVE
FEE(2) VALUE TIcKER CUSIP REbALANcED
-------- ------------ --------- ----------
1.00% ALTL.IV 78009P168 Monthly
ETN
ETN INcEpTION
Commodities Strategies TIcKER DATE UNDERLYING INDEX
------------------------------- ------ --------- ------------------------------------------------------
RBS Rogers Enhanced ETNs
------------------------------- ------ --------- ------------------------------------------------------
RBS Rogers Enhanced Commodity RGRC 10/25/12 RICI Enhanced(SM) Commodity Total Return Index
Index ETN
------------------------------- ------ --------- ------------------------------------------------------
RBS Rogers Enhanced Energy RGRE 10/25/12 RICI Enhanced(SM) Energy Total Return Index
ETN
------------------------------- ------ --------- ------------------------------------------------------
RBS Rogers Enhanced Agriculture RGRA 10/25/12 RICI Enhanced(SM) Agriculture Total Return Index
ETN
------------------------------- ------ --------- ------------------------------------------------------
RBS Rogers Enhanced Precious RGRP 10/25/12 RICI Enhanced(SM) Precious Metals Total Return Index
Metals ETN
------------------------------- ------ --------- ------------------------------------------------------
RBS Rogers Enhanced Industrial RGRI 10/25/12 RICI Enhanced(SM) Industrial Metals Total Return Index
Metals ETN
-------------------------------
ANNUAL INTRADAY REbALANcED
INVESTOR INDIcATIVE TO TARGET
FEE(2) VALUE TIcKER CUSIP WEIGHTS
======== ============ ========= =============
0.95% RGRC.IV 78009P176 Semi-Annually
-------- ------------ --------- -------------
0.95% RGRE.IV 78009P192 Semi-Annually
-------- ------------ --------- -------------
0.95% RGRA.IV 78009P184 Semi-Annually
-------- ------------ --------- -------------
0.95% RGRP.IV 78009P200 Semi-Annually
-------- ------------ --------- -------------
0.95% RGRI.IV 78009P218 Semi-Annually
(1)Determined as of the most recent weekly auction.
(2)With respect to RBS Trendpilot[] ETNs, the fees are either 1.10% or 1.00% per
annum (as set forth above) when tracking the Benchmark Index, and 0.50% per
annum when tracking the Cash Rate. All fees are per annum.
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Trend-Following Strategies
ETN
ETN INcEpTION
TIcKER DATE
--------------------------------------- ------ ---------
RBS Trendpilot[] ETNs
--------------------------------------- ------ ---------
1. RBS US Large Cap Trendpilot[] ETN TRND 12/6/10
--------------------------------------- ------ ---------
2. RBS US Mid Cap Trendpilot[] ETN TRNM 1/25/11
--------------------------------------- ------ ---------
3. RBS NASDAQ-100([R]) Trendpilot[] ETN TNDQ 12/8/11
--------------------------------------- ------ ---------
4. RBS China Trendpilot[] ETN TCHI 4/13/12
--------------------------------------- ------ ---------
5. RBS Gold Trendpilot[] ETN TBAR 2/17/11
--------------------------------------- ------ ---------
6. RBS Oil Trendpilot[] ETN TWTI 9/13/11
bENcHmARK INDEX
--------------------------------------------------
--------------------------------------------------
SandP 500([R]) Total Return Index
--------------------------------------------------
SandP MidCap 400([R]) Total Return Index
--------------------------------------------------
NASDAQ-100([R]) Total Return Index(SM)
--------------------------------------------------
BNY Mellon China Select ADR Total Return Index(SM)
--------------------------------------------------
Price of Gold Bullion
--------------------------------------------------
RBS 12-Month Oil Total Return Index
INTRADAY
ANNUAL INDIcATIVE mOVING AVG
INVESTOR VALUE (MA)/DAYS TO
cASH RATE FEE(2) TIcKER CUSIP CONFIRm TREND
================= =========== ========== ========= =============
3-Month U.S. 1.00% Index 200 Day MA
Treasury Bills(1) 0.50% Cash TRND.IV 78009L308 5-Day Confirm
----------------- ----------- ---------- --------- -------------
3-Month U.S. 1.00% Index 200 Day MA
Treasury Bills(1) 0.50% Cash TRNM.IV 78009L209 5-Day Confirm
----------------- ----------- ---------- --------- -------------
3-Month U.S. 1.00% Index 100 Day MA
Treasury Bills(1) 0.50% Cash TNDQ.IV 78009P143 5-Day Confirm
----------------- ----------- ---------- --------- -------------
3-Month U.S. 1.10% Index 100 Day MA
Treasury Bills(1) 0.50% Cash TCHI.IV 78009P150 3-Day Confirm
----------------- ----------- ---------- --------- -------------
3-Month U.S. 1.00% Index 200 Day MA
Treasury Bills(1) 0.50% Cash TBAR.IV 78009L407 5-Day Confirm
----------------- ----------- ---------- --------- -------------
3-Month U.S. 1.10% Index 100 Day MA
Treasury Bills(1) 0.50% Cash TWTI.IV 78009P127 5-Day Confirm
----------------- ----------- -------------
Our trend-following strategies:
[] Track the return of a specific benchmark index or cash rate
[] Use a 100- or 200-Index business day simple moving average
[] Use a 3- or 5-Index business day period for trend confirmation
This graph illustrates the Trendpilot[] methodology based on hypothetical
movements in a Benchmark Index and its 100- or 200-Index business day simple
moving average. This slide does not demonstrate historical data, and is not an
indication of how any Index or Trendpilot[] methodology will perform in the
future. If neither of the conditions mentioned in the graph is satisfied, the
trend of the Benchmark Index will be the same as the trend of the Benchmark
Index on the immediately preceding Index business day. The Index will implement
any trend reversal at the open of trading on the second Index business day
immediately following the Index business day on which the Benchmark Index trend
switches from positive to negative or from negative to positive, as the case may
be.
(1) Determined as of the most recent weekly auction.
(2) With respect to RBS Trendpilot[] ETNs, the fees are either 1.10% or 1.00%
per annum (as set forth above) when tracking the Benchmark Index, and 0.50%
per annum when tracking the Cash Rate.
[GRAPHIC OMITTED]
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RBS US Large Cap Trendpilot[] Index -- as of September 30, 2013
RBS US Large Cap Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons: May 22, 1991 to September 30, 2013
[GRAPHIC OMITTED]
Rolling 1-Year Performance and Historical Volatility Comparison September 30,
1991 - September 30, 2013
RBS US Large Cap
Trendpilot[] Index (Net of Fees) SandP 500([R]) Total Return Index
------------------- -------------------------------- ---------------------------
Minimum Performance -6.00% -26.62%
------------------- -------------------------------- ---------------------------
Maximum Performance 39.05% 40.45%
------------------- -------------------------------- ---------------------------
Annualized Average 9.22% 8.68%
------------------- -------------------------------- ---------------------------
5-Year Volatility 11.26% 18.08%
------------------- -------------------------------- ---------------------------
FOR MORE INFORMATION PLEASE SEE THE RBS US LARGE CAP TRENDPILOT[] PRICING
SUPPLEMENT. Source: Bloomberg. The above, with respect to the RBS US Large Cap
Trendpilot[] Index, reflects the deduction of the annual investor fee for the
RBS US Large Cap Trendpilot[] ETNs, which is equal to 1.00% per annum when the
RBS US Large Cap Trendpilot[] Index tracks the SandP 500 [R] Total Return Index
and 0.50% per annum when the RBS US Large Cap Trendpilot[] Index[] tracks the
Cash Rate. The RBS US Large Cap Trendpilot[] Index was created on November 16,
2010. Therefore, the graph reflects actual RBS US Large Cap Trendpilot[] Index
performance from November 16, 2010 through September 30, 2013 and reflects a
retrospectively calculated RBS US Large Cap Trendpilot[] Index performance from
May 22, 1991 through November 15, 2010 which is based on the index methodology
published by the index sponsor and described in the applicable pricing
supplement. See also Slide 1 **. PAST PERFORMANCE (WHETHER RETROSPECTIVELY
CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN
NOT INVEST DIRECTLY IN AN INDEX. 4
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RBS US Large Cap Trendpilot[] Index Index Returns: 1-, 5- and 10-Year Annualized Rolling Returns as of September 30, 2013 RBS US Large Cap Trendpilot[] Index (Net of Fees) SandP 500[R] Total Return Index 1-Year Annual Returns (Sept. 30, 1993 - Sept. 30, 2013) [GRAPHIC OMITTED] 5-Year Annualized Returns (Sept. 30, 1997 - Sept. 30, 2013) [GRAPHIC OMITTED] 10-Year Annualized Returns (Sept. 30, 2002 - Sept. 30, 2013) [GRAPHIC OMITTED] Source: Bloomberg. The graphs, with respect to the RBS US Large Cap Trendpilot[] Index, reflect the deduction of the annual investor fee for the RBS US Large Cap Trendpilot[] ETNs, which is equal to 1.00% per annum when the RBS US Large Cap Trendpilot[] Index tracks the SandP 500[R] Total Return Index and 0.50% per annum when the RBS US Large Cap Trendpilot[] Index[] tracks the Cash Rate. The 1-year Annual Returns above illustrate the retrospectively calculated annual returns (and historical annual returns for the annual periods after the index live date) of the RBS US Large Cap Trendpilot[] Index less investor fees, and historical returns of the SandP 500[R] Total Return Index for the period presented. Annualized Returns in the graphs above illustrate the geometric average annualized return of each of the RBS US Large Cap Trendpilot[] Index and the SandP 500[R] Total Return Index, based on the cumulative returns of the applicable index over the relevant period. Geometric average annualized return is the calculated hypothetical rate of return that, if cumulatively applied to each relevant annual period would result in the actual cumulative rate of return for the entire 5- or 10-year period, as applicable. For example in the 5-Year graph, 9/30/13 data reflects the annual return required to be received in each annual period from 9/30/08 - 9/30/13 in order to provide the total return that hypothetically could have resulted from an investment bought on 9/30/08 and sold on 9/30/13, assuming annual compounding. Please note that because the RBS US Large Cap Trendpilot[] Index did not exist until 11/16/2010, an investment in such Index was not possible prior to that date. The SandP 500[R] data presented above is based on actual historical returns. See also Slide 1 **. PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX. 5 |
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RBS US Mid Cap Trendpilot[] Index -- as of September 30, 2013
RBS US Mid Cap Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons October 20, 2000 to September 30, 2013
[GRAPHIC OMITTED]
Rolling 1-Year Performance and Historical Volatility Comparison September 30,
2001 - September 30, 2013
RBS US Mid Cap SandP MidCap 400([R])
Trendpilot[] Index (Net of Fees) Total Return Index
Minimum Performance -9.87% -16.68%
Maximum Performance 26.40% 28.54%
Annualized Average 8.26% 9.83%
5-Year Volatility 13.90% 21.77%
FOR MORE INFORMATION PLEASE SEE THE RBS US MID CAP TRENDPILOT[] PRICING
SUPPLEMENT. Source: Bloomberg. The above, with respect to the RBS US Mid Cap
Trendpilot[] Index, reflects the deduction of the annual investor fee for the
RBS US Mid Cap Trendpilot[] ETNs, which is equal to 1.00% per annum when the RBS
US Mid Cap Trendpilot[] Index tracks the SandP MidCap 400 [R] Total Return Index
and 0.50% per annum when the RBS US Mid Cap Trendpilot Index[] tracks the Cash
Rate. The RBS US Mid Cap Trendpilot[] Index was created on January 24, 2011.
Therefore, the graph reflects actual RBS US Mid Cap Trendpilot[] Index
performance from January 24, 2011 through September 30, 2013 and reflects a
retrospectively calculated RBS US Mid Cap Trendpilot[] Index performance from
October 20, 2000 through January 21, 2011 which is based on the index
methodology published by the index sponsor and described in the applicable
pricing supplement. See also Slide 1 **. PAST PERFORMANCE (WHETHER
RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF FUTURE
RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX. 6
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RBS US Mid Cap Trendpilot[] Index Index Returns: 1-, 5- and 10-Year Annualized Rolling Returns as of September 30, 2013 RBS US Mid Cap Trendpilot[] Index (Net of Fees) SandP MidCap 400[R] Index Total Return Index 1-Year Annual Returns (Sept. 30, 2002 - Sept. 30, 2013) [GRAPHIC OMITTED] 5-Year Annualized Returns (Sept. 30, 2006 - Sept. 30, 2013) [GRAPHIC OMITTED] 10-Year Annualized Returns (Sept. 30, 2011 - Sept. 30, 2013) [GRAPHIC OMITTED] Source: Bloomberg. The graphs, with respect to the RBS US Mid Cap Trendpilot[] Index, reflect the deduction of the annual investor fee for the RBS US Mid Cap Trendpilot[] ETNs, which is equal to 1.00% per annum when the RBS US Mid Cap Trendpilot[] Index tracks the SandP MidCap 400[R] Total Return Index and 0.50% per annum when the RBS US Mid Cap Trendpilot[] Index tracks the Cash Rate. The 1-year Annual Returns above illustrate the retrospectively calculated annual returns (and historical annual returns for the annual periods after the index live date) of the RBS US Mid Cap Trendpilot[] Index less investor fees, and historical returns of the SandP MidCap 400[R] Total Return Index for the period presented. Annualized Returns in the graphs above illustrate the geometric average annualized return of each of the RBS US Mid Cap Trendpilot[] Index and the SandP MidCap 400[R] Total Return Index, based on the cumulative returns of the applicable index over the relevant period. Geometric average annualized return is the calculated hypothetical rate of return that, if cumulatively applied to each relevant annual period would result in the actual cumulative rate of return for the entire 5- or 10-year period, as applicable. For example in the 5-Year graph, 9/30/13 data reflects the annual return required to be received in each annual period from 9/30/08 - 9/30/13 in order to provide the total return that hypothetically could have resulted from an investment bought on 9/30/08 and sold on 9/30/13, assuming annual compounding. Please note that because the RBS US Mid Cap Trendpilot[] Index did not exist until 01/24/2011, an investment in such Index was not possible prior to that date. The SandP MidCap 400[R] data presented above is based on actual historical returns. See also Slide 1 **. PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX. 7 |
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RBS NASDAQ-100([R]) and China Trendpilot[] Indexes -- as of September 30, 2013
RBS NASDAQ-100([R]) Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons. July 27, 1999 to September 30, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS NASDAQ-100[R] Trendpilot[] Index (Net of Fees) NASDAQ-100[R] Total
Return IndexSM
NASDAQ-100[R] Total Return IndexSM 100-Day Moving Average
RBS China Trendpilot[] Index -- Hypothetical Growth of $10,000 Retrospectively
Calculated and Actual Historical Trendpilot[] Index Performance and Historical
Comparisons. September 10, 2002 to September 30, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS China Trendpilot[] Index (Net of Fees) BNY Mellon China Select ADR
Total Return IndexSM
BNY Mellon China Select ADR Total Return IndexSM 100-Day Moving Average
[GRAPHIC OMITTED]
[GRAPHIC OMITTED]
Rolling 1-Year Performance and Historical Volatility Comparison September 30,
2000 - September 30, 2013
RBS NASDAQ-100([R])
Trendpilot[] Index NASDAQ-100([R])
(Net of Fees) Total Return Index(SM)
------------------- ------------------- ----------------------
Minimum Performance -22.69% -67.26%
------------------- ------------------- ----------------------
Maximum Performance 40.44% 56.88%
------------------- ------------------- ----------------------
Annualized Average 5.62% 2.45%
------------------- ------------------- ----------------------
5-Year Volatility 14.75% 19.52%
------------------- ------------------- ----------------------
Rolling 1-Year Performance and Historical Volatility Comparison September 30,
2003 - September 30, 2013
RBS China
Trendpilot[] Index BNY Mellon China Select
(Net of Fees) ADR Total Return Index(SM)
------------------- ------------------ --------------------------
Minimum Performance -24.85% -40.55%
------------------- ------------------ --------------------------
Maximum Performance 100.62% 116.74%
------------------- ------------------ --------------------------
Annualized Average 16.38% 15.82%
------------------- ------------------ --------------------------
5-Year Volatility 15.50% 26.85%
------------------- ------------------ --------------------------
FOR MORE INFORMATION PLEASE SEE THE RBS NASDAQ-100 TRENDPILOT[] PRICING
SUPPLEMENT OR RBS CHINA TRENDPILOT[] PRICING SUPPLEMENT, AS APPROPRIATE. Source:
Bloomberg. The above, with respect to the RBS NASDAQ-100 Trendpilot[] Index and
the RBS China Trendpilot[] Index, reflects the deduction of the annual investor
fee for the related RBS ETNs which is equal to 1.00% or 1.10%, respectively, per
annum when the RBS NASDAQ -100[R] Trendpilot[] ETN and RBS China Trendpilot[]
ETN track, respectively, the NASDAQ-100[R] Total Return Index(SM) and BNY Mellon
China Select ADR Total Return Index(SM), and 0.50% per annum when such ETNs
track the Cash Rate. The RBS NASDAQ-100[R] Trendpilot[] Index (USD) was created
on November 28, 2011. Therefore, the graph reflects the actual RBS NASDAQ-100[R]
Trendpilot[] Index performance from November 28, 2011 through September 30, 2013
and reflects the retrospectively calculated RBS NASDAQ-100[R] Trendpilot[] Index
performance from July 27, 1999 through November 27, 2011, based on the index
methodology published by the index sponsor and described in the applicable
pricing supplement. The RBS China Trendpilot[] Index (USD) (the "Index") was
created on February 27, 2012. Therefore, for that Index, the graph reflects the
actual Index closing levels from February 27, 2012 through September 30, 2013
and reflects the retrospectively calculated Index performance from September 10,
2002 through February 26, 2012, based on the index methodology published by the
index sponsor and described in the applicable pricing supplement. The graph
starts at September 10, 2002 because that was the inception date for the BNY
Mellon China Select ADR Total Return Index(SM). See also Slide 1 **. PAST
PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS NOT
INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST IN AN INDEX. 8
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RBS Gold and Oil Trendpilot[] Indexes -- as of September 30, 2013
RBS Gold Trendpilot[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Trendpilot[] Index Performance
and Historical Comparisons October 20, 1975 to September 30, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS Gold Trendpilot[] Index (Net of Fees) Price of Gold Bullion Price of
Gold Bullion 200-Index business day simple moving average
[GRAPHIC OMITTED]
Rolling 1-Year Performance and Historical Volatility Comparison September 30,
1976 - September 30, 2013
RBS Gold
Trendpilot[] Index Price of
(Net of Fees) Gold Bullion
------------------- ------------------ ------------
Minimum Performance -15.25% -35.70%
------------------- ------------------ ------------
Maximum Performance 81.16% 82.98%
------------------- ------------------ ------------
Annualized Average 8.27% 6.62%
------------------- ------------------ ------------
5-Year Volatility 17.98% 22.81%
------------------- ------------------ ------------
RBS Oil Trendpilot[] Index -- Hypothetical Growth of $10,000 Retrospectively
Calculated and Actual Historical Trendpilot[] Index Performance and Historical
and Retrospective Comparisons July 13, 1989 to September 30, 2013
Tracking the Benchmark Index Tracking the Cash Rate
RBS Oil Trendpilot[] Index (Net of Fees) RBS 12-Month Oil Total Return
Index RBS 12-Month Oil Index 100-Day Moving Average
[GRAPHIC OMITTED]
Rolling 1-Year Performance and Historical Volatility Comparison September 30,
1990 - September 30, 2013
RBS Oil
Trendpilot[] Index RBS 12-Month Oil Total
(Net of Fees) Return Index
------------------- ------------------ ----------------------
Minimum Performance -28.41% -40.27%
------------------- ------------------ ----------------------
Maximum Performance 87.24% 96.82%
------------------- ------------------ ----------------------
Annualized Average 13.40% 13.10%
------------------- ------------------ ----------------------
5-Year Volatility 18.76% 28.78%
------------------- ------------------ ----------------------
FOR MORE INFORMATION PLEASE SEE THE RBS GOLD TRENDPILOT[] PRICING SUPPLEMENT OR
RBS OIL TRENDPILOT[] PRICING SUPPLEMENT, AS APPROPRIATE. Source: Bloomberg. The
above, with respect to the RBS Gold Trendpilot[] Index and the RBS Oil
Trendpilot[] Index, reflects the deduction of the annual investor fee for the
related RBS ETNs, which is equal to 1.00% or 1.10%, respectively, per annum when
the RBS Gold Trendpilot[] ETN and RBS Oil Trendpilot[] ETN track, respectively,
the Price of Gold Bullion and RBS 12-Month Oil Total Return Index, and 0.50% per
annum when such ETNs track the Cash Rate. The RBS Gold Trendpilot[] Index (USD)
was created on January 24, 2011. Therefore, the graph reflects the actual RBS
Gold Trendpilot[] Index performance from January 24, 2011 through September 30,
2013 and reflects the retrospectively calculated RBS Gold Trendpilot[] Index
performance from October 20, 1975 through January 23, 2011, based on the index
methodology published by the index sponsor and described in the applicable
pricing supplement. The RBS Oil Trendpilot[] Index (USD) (the "Index") was
created on September 13, 2011. Therefore, the graph reflects the actual Index
closing levels from September 13, 2011 through June 30, 2013 and reflects the
retrospectively calculated Index performance from July 13, 1989 through
September 12, 2011, based on the index methodology published by the index
sponsor and described in the applicable pricing supplement. Similarly, the RBS
12-Month Oil Total Return Index was created on September 8, 2011. Therefore, for
the RBS 12-Month Oil Total Return Index, the graph above reflects the actual RBS
12-Month Oil Total Return Index closing levels from September 8, 2011 through
September 30, 2013 and reflects the retrospectively calculated RBS 12-Month Oil
Total Return Index performance from July 13, 1989 through September 7, 2011,
based on the index methodology published by the index sponsor and described in
the applicable pricing supplement. See also Slide 1 **. PAST PERFORMANCE
(WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF
FUTURE RESULTS. YOU CAN NOT INVEST IN AN INDEX. 9
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RBS Trendpilot[] ETN Performance
Performance (%) as of September 30, 2013
Daily Redemption Values(1) (Net of Fees) TIcKER ETN INcEpTION 1-MONTH
DATE (%)
---------------------------------------- ------ ------------- -------
RBS US Large Cap Trendpilot[] ETN trnd 12/6/10 3.05
---------------------------------------- ------ ------------- -------
RBS US Mid Cap Trendpilot[] ETN trnm 1/25/11 5.12
---------------------------------------- ------ ------------- -------
RBS NASDAQ-100([R]) Trendpilot[] ETN tndq 12/8/11 4.66
---------------------------------------- ------ ------------- -------
RBS China Trendpilot[] ETN tchi 4/13/12 9.75
---------------------------------------- ------ ------------- -------
RBS Gold Trendpilot[] ETN tbar 2/17/11 -0.04
---------------------------------------- ------ ------------- -------
RBS Oil Trendpilot[] ETN twti 9/13/11 -2.28
---------------------------------------- ------ ------------- -------
Cash Rate on 09/30/13 was 0.01%
ANNUALIZED
3-MONTH YEAR-TO-DATE 1-YEAR SINcE RBS ETN
(%) (%) (%) INcEpTION (%)
------- ------------ ------ -------------
4.97 18.90 18.15 10.18
------- ------------ ------ -------------
7.27 22.31 26.40 7.46
------- ------------ ------ -------------
10.73 18.35 13.52 15.63
------- ------------ ------ -------------
20.44 10.38 17.67 8.19
------- ------------ ------ -------------
-0.12 -3.41 -10.08 4.41
------- ------------ ------ -------------
2.83 -11.79 -16.91 -9.68
Source: Bloomberg. The table above presents the actual historical performance of
the RBS ETNs over the specified periods. For information regarding the
performance of each Index, please refer to the relevant pricing supplement filed
with the U.S. Securities and Exchange Commission ("SEC"). (1)Includes the
deduction of the annual investor fee, which accrues on a daily basis. The annual
investor fee will be equal to: (i) (a) 1.00% per annum when the applicable
Trendpilot[] Indices that are tracked by the RBS US Large Cap Trendpilot[] ETNs,
RBS US Mid Cap Trendpilot[] ETNs, RBS Gold Trendpilot[] ETNs and the RBS
NASDAQ-100[R] Trendpilot[] ETNs are tracking, respectively, the SandP 500[R]
Total Return Index, the SandP MidCap 400[R] Total Return Index, the Price of
Gold Bullion and the NASDAQ-100[R] Total Return Index(SM) and (b) 1.10% per
annum when the applicable Trendpilot[] Indices that are tracked by the RBS Oil
Trendpilot[] ETNs and RBS China Trendpilot[] ETNs are tracking, respectively,
the RBS 12-Month Oil Total Return Index and the BNY Mellon China Select ADR
Total Return Index(SM); and (ii) 0.50% per annum when any of the Trendpilot[]
Indices that are the Cash Rate.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST IN AN
INDEX.
10
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RBS Trendpilot[] Index Backtested Performance
START DATE FOR
bAcKTESTED
Hypothetical Backtested Trendpilot[] Index TRENDpILOT[]
INDEX
Performance (%) as of September 30, 2013 cALcULATIONS
------------------------------------------------------- --------------
RBS US Large Cap Trendpilot[] Index (Net of Fees)(1) 5/22/91
------------------------------------------------------- --------------
SandP 500[R] Total Return Index 5/22/91
------------------------------------------------------- --------------
RBS US Mid Cap Trendpilot[] Index (Net of Fees)(1) 10/20/00
------------------------------------------------------- --------------
SandP MidCap 400[R] Total Return Index 10/20/00
------------------------------------------------------- --------------
RBS NASDAQ-100([R]) Trendpilot[] Index (Net of Fees)(1) 7/27/99
------------------------------------------------------- --------------
NASDAQ-100[R] Total Return IndexSM 7/27/99
------------------------------------------------------- --------------
RBS China Trendpilot[] Index (Net of Fees)(1) 9/10/02
------------------------------------------------------- --------------
BNY Mellon Select ADR Total Return IndexSM 9/10/02
------------------------------------------------------- --------------
RBS Gold Trendpilot[] Index (Net of Fees)(1) 10/20/75
------------------------------------------------------- --------------
Price of Gold Bullion 10/20/75
------------------------------------------------------- --------------
RBS Oil Trendpilot[] Index (Net of Fees)(1) 7/13/89
------------------------------------------------------- --------------
RBS 12-Month Oil Total Return Index 7/13/89
1-YEAR ANNUALIZED
(%) 5-YEAR (%)
------ ----------
18.15 9.34
------ ----------
19.34 10.02
------ ----------
26.40 11.08
------ ----------
27.68 13.08
------ ----------
13.52 11.54
------ ----------
16.71 16.22
------ ----------
17.67 13.16
------ ----------
29.02 7.96
------ ----------
-10.07 12.64
------ ----------
-25.31 8.44
------ ----------
-16.92 -5.13
------ ----------
8.18 -6.12
SINcE
ANNUALIZED bAcKTESTED 5-YEAR MAXImUm
10-YEAR (%) START DATE (%) VOLATILITY (%) DRAWDOWN (%)
----------- -------------- -------------- ------------
7.87 10.65 11.26 -19.29
----------- -------------- -------------- ------------
7.57 9.13 18.08 -55.25
----------- -------------- -------------- ------------
9.10 8.77 13.90 -24.52
----------- -------------- -------------- ------------
10.84 8.46 21.77 -55.15
----------- -------------- -------------- ------------
5.22 7.12 14.75 -44.87
----------- -------------- -------------- ------------
10.23 2.90 19.52 -82.87
----------- -------------- -------------- ------------
16.47 18.94 15.50 -38.39
----------- -------------- -------------- ------------
13.97 16.34 26.85 -70.28
----------- -------------- -------------- ------------
10.64 9.22 17.98 -43.44
----------- -------------- -------------- ------------
13.08 6.01 22.81 -70.26
----------- -------------- -------------- ------------
13.35 15.17 18.76 -43.53
----------- -------------- -------------- ------------
13.10 13.86 26.85 -72.99
Source: Bloomberg. The data in the above chart reflects actual historical
performance for each Trendpilot[] Index from such index's live date and
retrospectively calculated performance from the "Start Date for Backtested
Trendpilot[] Index Calculations" to the live date of such index. The live dates
of each Trendpilot[] Index are provided on previous slides. The 1-Year returns
above all reflect actual historical performance, whereas the 5-Year and 10-Year
returns reflect both actual historical performance and retrospectively
calculated performance. The Trendpilot[] Indices have very limited performance
history and no actual investment which allowed tracking of the performance of
the Index was possible before its live date. returns. Neither the
retrospectively calculated nor the historical index performance should be taken
as any indication of future performance of any index or any related RBS ETNs.
The "Start Date for Backtested Trendpilot[] Index Calculations" was selected for
each set of indices based on the live date for the related Benchmark Index.
(1)The Trendpilot[] Includes the deduction of the annual investor fee for the
applicable RBS ETN, which accrues on a daily basis. The annual investor fee is
equal to: (i) (a) 1.00% per annum when the applicable Trendpilot[] Indices that
are tracked by the RBS US Large Cap Trendpilot[] ETNs, RBS US Mid Cap
Trendpilot[] ETNs, RBS Gold Trendpilot[] ETNs and the RBS NASDAQ-100[R]
Trendpilot[] ETNs are tracking, respectively, the SandP 500[R] Total Return
Index, the SandP MidCap 400[R] Total Return Index, the Price of Gold Bullion and
the NASDAQ-100[R] Total Return Index(SM) and (b) 1.10% per annum when the
applicable Trendpilot[] Indices that are tracked by the RBS Oil Trendpilot[]
ETNs and RBS China Trendpilot[] ETNs are tracking, respectively, the RBS
12-Month Oil Total Return Index and the BNY Mellon China Select ADR Total Return
Index(SM); and (ii) 0.50% per annum when any of the Trendpilot[] Indices that
are tracked by the RBS ETNs are tracking Cash Rate. PAST PERFORMANCE (WHETHER
RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF FUTURE
RESULTS. YOU CAN NOT INVEST IN AN INDEX. 11
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Rebalance Strategy
Alternator Strategy
Each month, the RBS US Large Cap Alternator Index[] will track the return of the
Underlying Index with the highest relative strength score at the end of the
prior month. score is a simple average of the 1-, 3-, 6-, 9- and 12-month
returns of each of the Underlying Indices, calculated with respect to the last
business day of each month.
ETN
ETN INcEpTION
TIcKER DATE
------------------------------------ ------ ---------
1. RBS US Large Cap Alternator ETN[] ALTL 8/30/12
------------------------------------ ------ ---------
UNDERLYING INDIcES
----------------------------------------------
SandP 500([R]) Total Return Index
SandP 500([R]) Equal Weight Total Return Index
SandP 500([R]) Low Volatility Total Return Index
----------------------------------------------
ANNUAL INTRADAY
INVESTOR INDIcATIVE
FEE VALUE TIcKER CUSIP REbALANcED
-------- ------------ --------- ----------
1.00% ALTL.IV 78009P168 Monthly
[GRAPHIC OMITTED]
Performance and Historical Volatility Comparison
September 30, 1992 - September 30, 2013
RBS US
Large Cap SandP 500([R]) Equal SandP 500([R]) Low
Alternator Index[] SandP 500([R]) Total Weight Total Volatility Total
(Net of Fees) Return Index Return Index Return Index
Minimum
Performance -16.65% -26.62% -21.96% -10.68%
Maximum
Performance 39.86% 40.45% 36.91% 31.76%
Annualized
Average 11.45% 8.57% 10.75% 9.86%
5-Year
Volatility 15.20% 18.08% 22.00% 12.49%
RBS US Large Cap Alternator[] Index -- Hypothetical Growth of $10,000
Retrospectively Calculated and Actual Historical Index Performance and
Comparison January 2, 1992 to September 30, 2013.
[GRAPHIC OMITTED]
(1)The above does not reflect an actual market cycle and is not an indication of
how a market cycle may develop, the length of any market cycle, which Underlying
Index will be tracked during any part of a market cycle or whether any
Underlying Index will be tracked at all or in any particular order. FOR MORE
INFORMATION PLEASE SEE THE RBS US LARGE CAP ALTERNATOR PRICING SUPPLEMENT.
Source: Bloomberg. The above, with respect to the RBS US Large Cap Alternator
Index[], reflects the deduction of the annual investor fee for the RBS US Large
Cap Alternator ETNs[], which is equal to 1.00% per annum. The live dates of the
RBS US Large Cap Alternator Index[], SandP 500[R] Low Volatility Total Return
Index, the SandP 500[R] Equal Weight Total Return Index and the SandP 500[R]
Total Return Index
are 08/28/2012, 04/20/2011, 01/08/2003 and 01/04/1988, respectively. Any index
data presented before those dates is retrospectively calculated, and any index
data presented after those dates reflects actual historical performance. The
Index has very limited performance history and no actual investment which
allowed tracking of the performance of the Index was possible before its live
date. Accordingly, the results shown before the live date are hypothetical and
do not reflect actual returns. See also Slide 1 **. PAST PERFORMANCE (WHETHER
RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL) IS NOT INDICATIVE OF FUTURE
RESULTS. YOU CAN NOT INVEST IN AN INDEX. 12
|
 |
RBS Rebalance Strategy Performance
Performance (%) as of September 30, 2013 ETN INcEpTION
Daily Redemption Values(1) (Net of Fees) TIcKER DATE
------------------------------------------------- -------------- -------------
RBS US Large Cap Alternator ETN[] ALTL 8/30/12
------------------------------------------------- -------------- -------------
START DATE FOR
Hypothetical Backtested Index Performance (%) bAcKTESTED
INDEX 1-YEAR
as of September 30, 2013 cALcULATIONS (%)
------------------------------------------------- -------------- -------------
RBS US Large Cap Alternator[] Index (Net of Fees) 1/2/92 16.60
------------------------------------------------- -------------- -------------
SandP 500([R]) Total Return Index 1/2/92 19.34
------------------------------------------------- -------------- -------------
SandP 500([R]) Equal Weight Total Return Index 1/2/92 27.44
------------------------------------------------- -------------- -------------
SandP 500([R]) Low Volatility Total Return Index 1/2/92 14.48
1-MONTH
(%)
----------
3.94
----------
ANNUALIZED
5-YEAR
(%)
----------
12.22
----------
10.02
----------
13.79
----------
11.12
3-MONTH YEAR-TO-DATE 1-YEAR SINcE RBS ETN
(%) (%) (%) INcEpTION (%)
---------- -------------- -------------- -------------
6.40 15.56 16.59 18.59
---------- -------------- -------------- -------------
ANNUALIZED SINcE
10-YEAR bAcKTESTED 5-YEAR mAXImUm
(%) START DATE (%) VOLATILITY (%) DRAWDOWN (%)
---------- -------------- -------------- -------------
9.58 13.08 15.20 -44.15
---------- -------------- -------------- -------------
7.57 8.79 18.08 -55.25
---------- -------------- -------------- -------------
10.35 11.18 22.00 -59.47
---------- -------------- -------------- -------------
9.56 10.26 12.49 -40.40
Source: Bloomberg.
(1)Includes the deduction of the annual investor fee, which accrues on a daily
basis, and is equal to 1.00% per annum with respect to the RBS US Large Cap
Alternator Index[] . The live date for the RBS US Large Cap Alternator Index[]
is August 28, 2012. The RBS US Large Cap Alternator Index[] results
incorporating data prior to its live date are hypothetical and do not reflect
actual index returns. No actual investment which allowed tracking of the
performance of such index was possible before its live date. indication of
future performance of any RBS index or any related RBS ETNs. See also Slide 1
**. PAST PERFORMANCE (WHETHER RETROSPECTIVELY CALCULATED OR ACTUAL HISTORICAL)
IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX. 13
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 |
Rogers Enhanced Commodity Indices
ETN
ETN INcEpTION
TIcKER DATE
---------------------------------- ------ ---------
RBS Rogers Enhanced Commodity ETNs
---------------------------------- ------ ---------
1. RBS Rogers Enhanced RGRC 10/25/12
Commodity Index ETN
---------------------------------- ------ ---------
2. RBS Rogers Enhanced RGRE 10/25/12
Energy ETN
---------------------------------- ------ ---------
3. RBS Rogers Enhanced RGRA 10/25/12
Agriculture ETN
---------------------------------- ------ ---------
4. RBS Rogers Enhanced RGRP 10/25/12
Precious Metals ETN
---------------------------------- ------ ---------
5. RBS Rogers Enhanced RGRI 10/25/12
Industrial Metals ETN
UNDERLYING INDEX
---------------------------------------------------------------
RICI Enhanced(SM) Commodity Total Return Index (Composite)
RICI Enhanced(SM) Energy Total Return Index (Sector)
---------------------------------------------------------------
RICI Enhanced(SM) Agriculture Total Return Index (Sector)
---------------------------------------------------------------
RICI Enhanced(SM) Precious Metals Total Return Index (Sector)
---------------------------------------------------------------
RICI Enhanced(SM) Industrial Metals Total Return Index (Sector)
ANNUAL INTRADAY REbALANcED
INVESTOR INDIcATIVE TO TARGET
FEE VALUE TIcKER CUSIP WEIGHTS
======== ============ ========= ==============
0.95% RGRC.IV 78009P176 Semi-Annually
-------- ------------ --------- --------------
0.95% RGRE.IV 78009P192 Semi-Annually
-------- ------------ --------- --------------
0.95% RGRA.IV 78009P184 Semi-Annually
-------- ------------ --------- --------------
0.95% RGRP.IV 78009P200 Semi-Annually
-------- ------------ --------- --------------
0.95% RGRI.IV 78009P218 Semi-Annually
Features and Benefits: Simple
[] Broad index provides exposure to 36 different commodities
[] Sector indices for targeted exposure
[] Trades daily
[] Highly liquid
Enhanced Design
[] Reset to target weights annually based on expected economic
global demand [] Rebalances semi-annually []
Roll-strategy
Expected U.S. Federal Income Tax Treatment
[] Holders of these ETNs should, assuming they are treated for
U.S. federal income tax purposes as prepaid financial
contracts, generally not be required to include amounts in income
prior to sale, redemption or maturity.
IRS and U.S. Treasury are actively considering the tax
treatment of instruments such as these ETNs, which
could change. See the pricing supplement for more information.
Low Cost
[] Annual investor fee of 95 basis points
Determining the rollover calendar for individual commodities(1):
All available futures contracts
Filtering criteria applied based on seasonal patterns and cycles
(only for energy and grains)
Liquidity
(except for precious metals, rubber and palm oil)
Contracts are selected according to the individual rollover calendar for each
commodity. Rollover based on liquidity and futures curves. (term structure)
(1)Target weights determined annually in February
|
 |
Rogers Enhanced Commodity Indices
Commodity Breakdown - as of September 30, 2013:
RICI
Composite Sector
Index Index
Target Target
Commodities Weight Weight
----------------- ----------------- --------- -------
WTI Crude Oil 13.00% 31.71%
----------------- --------- -------
Brent Crude Oil 10.00% 24.39%
----------------- --------- -------
Natural Gas 7.00% 17.07%
----------------- --------- -------
Energy RBOB Gasoline 4.00% 9.76%
----------------- --------- -------
Heating Oil 4.00% 9.76%
----------------- --------- -------
Gas Oil 3.00% 7.32%
----------------- --------- -------
Energy 41.00% 100.00%
----------------- ----------------- --------- -------
Aluminum 4.00% 30.77%
----------------- --------- -------
Copper 4.00% 30.77%
----------------- --------- -------
Zinc 2.00% 15.38%
----------------- --------- -------
Lead 1.50% 11.54%
----------------- --------- -------
Nickel 0.50% 7.69%
----------------- --------- -------
Industrial Metals Tin 0.50% 3.84%
----------------- --------- -------
Industrial Metals 13.00% 100.00%
----------------- ----------------- --------- -------
Gold 4.00% 50.00%
----------------- --------- -------
Silver 2.00% 25.00%
----------------- --------- -------
Platinum 1.00% 12.50%
----------------- --------- -------
Precious Metals Palladium 1.00% 12.50%
----------------- --------- -------
Precious Metals 8.00% 100.00%
================= ================= ========= =======
Overall Total
RICI
Composite Sector
Index Index
Target Target
Commodities Weight Weight
----------- ----------------- --------- -------
Corn 7.00% 18.42%
----------------- --------- -------
Sugar 3.25% 8.55%
----------------- --------- -------
Wheat 3.00% 7.89%
----------------- --------- -------
Soybeans 3.00% 7.89%
----------------- --------- -------
Coffee 3.00% 7.89%
----------------- --------- -------
Live Cattle 2.50% 6.58%
----------------- --------- -------
Cotton 2.00% 5.26%
----------------- --------- -------
Soybean Oil 2.00% 5.26%
----------------- --------- -------
Lean Hogs 2.00% 5.26%
----------------- --------- -------
Kansas City Wheat 2.00% 5.26%
----------------- --------- -------
Cocoa 1.50% 3.95%
----------------- --------- -------
Agriculture Soybean Meal 1.25% 3.29%
----------------- --------- -------
Rubber 1.00% 2.63%
----------------- --------- -------
Coffee Robusta 1.00% 2.63%
----------------- --------- -------
Palm Oil 1.00% 2.63%
----------------- --------- -------
Lumber 0.50% 1.32%
----------------- --------- -------
Orange Juice 0.50% 1.32%
----------------- --------- -------
Rice 0.50% 1.32%
----------------- --------- -------
Oats 0.50% 1.32%
----------------- --------- -------
Minneapolis Wheat 0.50% 1.32%
----------------- --------- -------
Agriculture 38.00% 100.00%
----------- ----------------- --------- -------
100.00%
RBS Rogers Enhanced Commodity Index ETN
Target Weight
[GRAPHIC OMITTED]
RBS Rogers Enhanced Subsector Index ETNs
Want to set your own commodity sector weightings? You can purchase one or more
of the individual commodity sectors. For example:
Precious Metals (RGRP) + Agriculture (RGRA).
RGRE, RGRA, RGRI and RGRP
|
 |
Rogers Enhanced Commodity Index -- as of September 30, 2013
RBS Rogers Enhanced Commodity Index -- Hypothetical Growth of $10,000 (Net of
Fees) Actual Historical Index Performance and Historical Comparisons October 31,
2008 to September 30, 2013 RICI EnhancedSM Commodity Total Return Index Rogers
International Commodity Index ("RICI Index") -- Total ReturnSM SandP GSCI[R]
Total Return Index DBIQ Optimum Yield Commodity Total Return Index Dow Jones-UBS
Commodity IndexSM Total Return
[GRAPHIC OMITTED]
FOR MORE INFORMATION PLEASE SEE THE RBS ROGERS ENHANCED COMMODITY INDEX ETN
PRICING SUPPLEMENT. Source: Bloomberg *The performance of the RICI Enhanced(SM)
Commodity Total Return Index illustrated in the graph above reflects the
investor fee that will be deducted in calculating the daily redemption value of
the ETNs. For comparison purposes, the historical closing levels of each index
represented in the graph above were based to a value of 10,000 on October 31,
2008. The RICI Enhanced(SM) Commodity Total Return Index, RICI Index, SandP
GSCI[R] Total Return Index, DBIQ Optimum Yield Commodity Total Return Index and
Dow Jones-UBS Commodity Index(SM) Total Return reflect the deduction of an
annual investor fee, in the amount of 0.95%, 0.75%, 0.75%, 0.93%, and 0.75%,
respectively. (SM) Commodity Total Return Index has been live since October 31,
2008. Therefore, the closing levels used to create the graph above reflect
actual Index closing levels. The historical performance of the RICI Enhanced(SM)
Commodity Total Return Index illustrated in the graph above should not be taken
as an indication of future performance. PAST PERFORMANCE IS NOT INDICATIVE OF
FUTURE RESULTS. YOU CAN NOT INVEST DIRECTLY IN AN INDEX. 16
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 |
RBS Rogers Enhanced Commodity Indices Performance
Historical Performance (%) ETN INcEpTION 1-MONTH
Daily Redemption Values TIcKER DATE (%)
----------------------------------------- ------ ------------- -------
RBS Rogers Enhanced Commodity Index ETN RGRC 10/25/12 -2.01
----------------------------------------- ------ ------------- -------
RBS Rogers Enhanced Energy ETN RGRE 10/25/12 -3.21
----------------------------------------- ------ ------------- -------
RBS Rogers Enhanced Agriculture ETN RGRA 10/25/12 -1.04
----------------------------------------- ------ ------------- -------
RBS Rogers Enhanced Precious Metals ETN RGRP 10/25/12 -5.31
----------------------------------------- ------ ------------- -------
RBS Rogers Enhanced Industrial Metals ETN RGRI 10/25/12 1.18
3-MONTH YEAR-TO-DATE 1-YEAR SINcE RBS ETN
(%) (%) (%) INcEpTION (%)
------- ------------ ------ -------------
2.44 -6.47 -- -7.15
------- ------------ ------ -------------
4.01 2.03 -- 2.33
------- ------------ ------ -------------
-0.92 -11.14 -- -14.76
------- ------------ ------ -------------
8.55 -19.19 -- -20.08
------- ------------ ------ -------------
4.22 -11.12 -- -5.14
Historical Index Performance (%)
INDEX INcEpTION 1-YEAR
as of September 30, 2013 (Net of Fees) DATE (%)
------------------------------------------------------ --------------- ------
RICI Enhanced(SM) Commodity Total Return Index 10/31/08 -10.08
------------------------------------------------------ --------------- ------
RICI Enhanced(SM) Energy Total Return Index 10/31/08 -0.46
------------------------------------------------------ --------------- ------
RICI Enhanced(SM) Agriculture Total Return Index 10/31/08 -16.06
------------------------------------------------------ --------------- ------
RICI Enhanced(SM) Precious Metals Total Return Index 10/31/08 -24.12
------------------------------------------------------ --------------- ------
RICI Enhanced(SM) Industrial Metals Total Return Index 10/31/08 -12.90
STANDARD DEVIATION
ANNUALIZED SINcE INDEX SINcE INDEX
3-YEAR (%) INcEpTION (%) INcEpTION (%)
----------- ------------- ------------------
0.97 3.56 16.24
----------- ------------- ------------------
3.95 -1.96 20.11
----------- ------------- ------------------
0.00 4.66 18.00
----------- ------------- ------------------
0.33 16.54 22.84
----------- ------------- ------------------
-6.15 4.07 22.68
The table above presents the actual performance of the RBS ETNs and the indices,
over the specified periods, in each case, less investor fees of 0.95% per annum.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. YOU CAN NOT INVEST
DIRECTLY IN AN INDEX. 17
|
 |
CERTAIN RISK CONSIDERATIONS: The RBS ETNs involve risks not associated with an
investment in conventional debt securities, including a possible loss of some or
all of your investment. The level of the relevant Index must increase by an
amount sufficient to offset the aggregate investor fee applicable to the RBS
ETNs in order for you to receive at least the principal amount of your
investment back at maturity or upon early repurchase or redemption. The RBS Oil
Trendpilot(TM) ETNs, the RBS Rogers Enhanced ETNs and the respective indices
that those ETNs track do not provide exposure to spot prices of the relevant
commodities and, consequently, may not be representative of an investment that
provides exposure to the relevant commodities or buying and holding the relevant
commodities. The prices of commodities are volatile and are affected by numerous
factors. Each Trendpilot[] Index may underperform its respective Benchmark
Index, and is expected to perform poorly in volatile markets. The RBS China
Trendpilot[] ETNs involve risks associated with an investment in emerging
markets, as well as currency exchange risk. The RBS US Large Cap Alternator
Index(TM) may underperform the SandP 500[R] Index or any Underlying Index. Even
though the RBS ETNs are listed on the NYSE Arca, a trading market may not
develop and the liquidity of the RBS ETNs may be limited and/or vary over time,
as RBS plc is not required to maintain any listing of the RBS ETNs. The intraday
indicative value and the daily redemption value are not the same as the trading
price or market price of the RBS ETNs in the secondary market. The RBS ETNs are
not principal protected and do not pay interest. Any payment on the RBS ETNs is
subject to the ability of RBS plc and RBS Group to pay their respective
obligations when they become due. You should carefully consider whether the RBS
ETNs are suited to your particular circumstances before you decide to purchase
them. We urge you to consult with your investment, legal, accounting, tax and
other advisors with respect to any investment in the RBS ETNs.
The RBS ETNs are not suitable for all investors. You should carefully read the
relevant pricing supplement and prospectus, including the more detailed
explanation of the risks involved in any investment in the RBS ETNs as described
in the "Risk Factors" section of the applicable pricing supplement, before
investing. The intraday indicative value and the daily redemption value are not
the same as the trading price or market price of the RBS ETNs in the secondary
market.
IMPORTANT INFORMATION: The Royal Bank of Scotland plc (RBS plc) and The Royal
Bank of Scotland Group plc (RBS Group) have filed a registration statement
(including a prospectus) with the U.S. Securities and Exchange Commission (SEC)
for the offering of RBS ETNs to which this communication relates. Before you
invest in any RBS ETNs, you should read the prospectus in that registration
statement and other documents that have been filed by RBS plc and RBS Group with
the SEC for more complete information about RBS plc and RBS Group, and the
offering. You may get these documents for free by visiting EDGAR on the SEC's
web site at www.sec.gov. Alternatively, RBS plc, RBS Securities Inc. (RBSSI) or
any dealer participating in the offering will arrange to send you the prospectus
and the pricing supplement at no charge if you request it by calling
1-855-RBS-ETPS (toll-free).
RBS China Trendpilot(TM) Index, RBS US Large Cap Trendpilot(TM) Index (USD), RBS
US Mid Cap Trendpilot(TM) Index (USD), RBS Gold Trendpilot(TM) Index (USD) and
RBS US Large Cap Alternator(TM) Index (USD) are the property of RBS plc, which
has contracted with SandP Opco, LLC (a subsidiary of SandP Dow Jones Indices
LLC) ("SandP Dow Jones Indices") to maintain and calculate these indices. [R]
Index, the SandP MidCap 400[R], SandP 500 Low Volatility Index and SandP
500([R]) Equal Weight Index (including the total return versions) are the
exclusive property of SandP Dow Jones Indices and have been licensed for use by
RBS plc in connection with certain of these indices. liability for any errors or
omissions in calculating these indices. SandP[R] is a registered trademark of
Standard and Poor's Financial Services LLC ("SPFS") and Dow Jones[R] is a
registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). These
trademarks have been licensed to SandP Dow Jones Indices. Standard and
Poor's[R], SandP[R], SandP[R] 500, SandP MidCap 400[R], SandP 500 Low Volatility
Index[R], SandP 500[R] Equal Weight Index(TM) and SandP 500[R] EWI(TM) are
trademarks of SPFS and together with the "Calculated by SandP Dow Jones Indices
Custom" and its related stylized mark(s) have been licensed for use by RBS plc.
The RBS China Trendpilot(TM) ETNs, RBS US Large Cap Trendpilot(TM) ETNs, RBS US
Mid Cap Trendpilot(TM) ETNs, RBS Gold Trendpilot(TM) ETNs and RBS US Large Cap
Alternator ETNs are not sponsored, endorsed, sold or promoted by SandP Dow Jones
Indices, SPFS, Dow Jones, their affiliates or their third party licensors, and
neither SandP Dow Jones Indices, SPFS, Dow Jones, their affiliates or their
third party licensors make any representation regarding the advisability of
investing in such RBS ETNs.
NASDAQ[R], OMX[R], NASDAQ OMX[R], NASDAQ-100[R], NASDAQ-100 Index[R] and
NASDAQ-100[R] Total Return Index(SM) are registered trademarks and service marks
of The NASDAQ OMX Group, Inc. and are licensed for use by RBS plc. The RBS
NASDAQ-100([R]) Trendpilot(TM) Index is the property of RBS plc. RBS plc has
contracted with The NASDAQ OMX Group, Inc. (which with its affiliates and
subsidiaries is referred to as the "Corporations") to calculate and maintain the
RBS NASDAQ-100([R]) Trendpilot(TM) Index, either directly or through a third
party. Currently, the RBS NASDAQ-100([R]) Trendpilot(TM) Index is calculated and
maintained by SandP Opco, LLC, a subsidiary of SandP Dow Jones Indices LLC
("SandP Dow Jones Indices") on behalf of the Corporations. [R] is a registered
trademark of Standard and Poor's Financial Services LLC ("SPFS") and Dow
Jones[R] is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow
Jones"). trademarks have been licensed to SandP Dow Jones Indices. -100([R])
Trendpilot(TM) Index. The RBS NASDAQ-100([R]) Trendpilot(TM) ETNs, which are
based on the RBS NASDAQ-100([R]) Trendpilot(TM) Index, have not been passed on
by the Corporations or SandP Dow Jones Indices as to their legality or
suitability and are not sponsored, endorsed, sold or promoted by the
Corporations or SandP Dow Jones Indices and its affiliates. THE CORPORATIONS,
SandP DOW JONES INDICES AND ITS AFFILIATES MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE RBS NASDAQ-100([R]) TRENDPILOT(TM) ETNs. RBS Oil
Trendpilot(TM) Index (USD) and RBS 12-Month Oil Total Return Index (USD) are the
property of RBS plc and are calculated by NYSE Arca, a wholly-owned subsidiary
of NYSE Euronext.
RBS Oil Trendpilot(TM) Index (USD) and RBS 12-Month Oil Total Return Index
(USD), are not issued, sponsored, endorsed, sold or promoted by NYSE Arca, and
NYSE Arca makes no representation regarding the advisability of investing in
such ETNs. NYSE ARCA MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY
EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A
PARTICULAR PURPOSE WITH RESPECT TO THE RBS OIL TRENDPILOT[] INDEX (USD) OR RBS
12-MONTH OIL TOTAL RETURN INDEX (USD) OR ANY DATA INCLUDED THEREIN. -QUENTIAL
DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH
DAMAGES.
BNY Mellon is a corporate brand of The Bank of New York Mellon Corporation and
may be used as a generic term to reference the corporation as a whole or its
various subsidiaries. BNY Mellon and BNY Mellon ADR Indices and BNY Mellon DR
Indices are service marks owned by The Bank of New York Mellon Corporation. This
information is provided for general purposes only and is not investment advice.
We provide no advice nor recommendations or endorsement with respect to any
company, security or products based on any index licensed by BNY Mellon, and we
make no representation regarding the advisability of investing in the same. BNY
Mellon.
BNY Mellon does not guarantee the accuracy, timeliness and/or completeness of
BNY Mellon ADR Indices and BNY Mellon DR Indices, or any associated indices, or
any data included therein, and BNY Mellon shall have no liability for any
errors, omissions, or interruptions therein. BNY Mellon makes no express or
implied warranties, and expressly disclaims all warranties of merchantability or
fitness for a particular purpose or use with respect to BNY Mellon ADR Indices
and BNY Mellon DR Indices or any associated indices, or any data included
therein, or any materials derived from such data. Without limiting any of the
foregoing, in no event shall the company have any liability for any special,
punitive, indirect, or consequential damages (including lost profits), even if
notified of the possibility of such damages. For the full disclaimer please see
the pricing supplement relating to the notes that RBS plc and RBS Group filed
with the SEC.
The RBS ETNs are not sponsored, endorsed, sold or promoted by Beeland Interests
Inc. ("Beeland Interests"), James B. Rogers, Jr. or Diapason Commodities
Management SA ("Diapason").[] Neither Beeland Interests, James B. Rogers, Jr.
nor Diapason makes any representation or warranty, express or implied, nor
accepts any responsibility, regarding the accuracy or completeness of this
document, or the advisability of investing in securities or commodities
generally, or in the RBS ETNs or in futures particularly. "Jim Rogers", "James
Beeland Rogers, Jr.", "Rogers", "Rogers International Commodity Index", "RICI",
"RICI Enhanced", and the names of all other RICI Enhanced(SM) Indices mentioned
herein are trademarks, service marks and/or registered marks of Beeland
Interests, Inc., which is owned and controlled by James Beeland Rogers, Jr., and
are used subject to license.[] The personal names and likeness of Jim
Rogers/James Beeland Rogers, Jr. are owned and licensed by James Beeland Rogers,
Jr.
NEITHER BEELAND INTERESTS NOR DIAPASON, NOR ANY OF THEIR RESPECTIVE AFFILIATES
OR AGENTS, GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE ROGERS
INTERNATIONAL COMMODITY INDEX ("RICI"), THE RICI ENHANCED INDEX, ANY SUB-INDEX
THEREOF, OR ANY DATA INCLUDED THEREIN.[] SUCH PERSON SHALL NOT HAVE ANY
LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN AND MAKES NO
WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF THE RBS
ETNS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RICI, THE RICI ENHANCED
INDEX, ANY SUB-INDEX THEREOF, ANY DATA INCLUDED THEREIN OR THE RBS ETNS.[]
NEITHER BEELAND INTERESTS NOR DIAPASON, NOR ANY OF THEIR RESPECTIVE AFFILIATES
OR AGENTS, MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH EXPRESSLY DISCLAIMS
ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE
WITH RESPECT TO THE RICI, THE RICI ENHANCED INDEX, ANY SUB INDEX THEREOF, OR ANY
DATA INCLUDED THEREIN.[] WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT
SHALL BEELAND INTERESTS, DIAPASON OR ANY OF THEIR RESPECTIVE AFFILIATES OR
AGENTS HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL,
OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.
NEITHER THE INDICATION THAT SECURITIES OR OTHER FINANCIAL PRODUCTS OFFERED
HEREIN ARE BASED ON DATA PROVIDED BY ICE DATA LLP, NOR THE USE OF THE TRADEMARKS
OF ICE DATA LLP IN CONNECTION WITH SECURITIES OR OTHER FINANCIAL PRODUCTS
DERIVED FROM SUCH DATA IN ANY WAY SUGGESTS OR IMPLIES A REPRESENTATION OR
OPINION BY ICE DATA OR ANY OF ITS AFFILIATES AS TO THE ATTRACTIVENESS OF
INVESTMENT IN ANY SECURITIES OR OTHER FINANCIAL PRODUCTS BASED UPON OR DERIVED
FROM SUCH DATA. ICE DATA IS NOT THE ISSUER OF ANY SUCH SECURITIES OR OTHER
FINANCIAL PRODUCTS AND MAKES NO EXPRESS OR IMPLIED WARRANTIES WHATSOEVER,
INCLUDING BUT NOT LIMITED TO, WARRANTIES OF MERCHANTABILITY OR FITNESS FOR ANY
PARTICULAR PURPOSE WITH RESPECT TO SUCH DATA INCLUDED OR REFLECTED THEREIN, NOR
AS TO RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE
DATA INCLUDED OR REFLECTED THEREIN.
The indices that the RBS Rogers Enhanced ETNs track are calculated by NYSE Arca,
Inc. ("NYSE Arca"), a wholly-owned subsidiary of NYSE Euronext. The RBS ETNs,
which are based on such indices, are not issued, sponsored, endorsed, sold or
promoted by NYSE Arca, and NYSE Arca makes no representation regarding the
advisability of investing in such products. nyse arca makes no express or
implied warranties, and hereby expressly disclaims all warranties of
merchantability or fitness for a particular purpose with respect to SUCH indICES
or any data included therein. in no event shall nyse arca have any liability for
any special, punitive, indirect, or consequential damages (including lost
profits), even if notified of the possibility of such damages.
Copyright [C] 2013 RBS Securities Inc. All rights reserved. RBS Securities
Inc., a U.S. registered broker-dealer, member of FINRA and SIPC, is an indirect
wholly-owned subsidiary of The Royal Bank of Scotland plc.
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